Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0033
Annualized Std Dev 0.1521
Annualized Sharpe (Rf=0%) 0.0216

Row

Daily Return Statistics

Close
Observations 4903.0000
NAs 1.0000
Minimum -0.1435
Quartile 1 -0.0029
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.2715
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0096
Skewness 2.9093
Kurtosis 164.8768

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0082
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0116
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.5368
Historical VaR (95%) -0.0111
Historical ES (95%) -0.0211
Modified VaR (95%) NA
Modified ES (95%) -0.5442
From Trough To Depth Length To Trough Recovery
2006-12-28 2008-10-10 2019-08-09 -0.5368 3175 450 2725
2020-02-24 2020-03-18 NA -0.3015 272 18 NA
2004-03-10 2004-05-10 2005-07-11 -0.1606 337 43 294
2001-10-01 2002-12-20 2004-03-09 -0.1386 614 310 304
2005-09-07 2005-10-18 2006-01-31 -0.0918 101 30 71

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA -0.3 -0.5 0.2 -0.9 -1.5
2002 0.2 0.1 0.5 0.2 0.1 0.8 0.6 -0.1 -0.3 0.7 -0.2 0.8 3.5
2003 0.5 -0.1 0.5 0.2 0.1 1.4 0 -0.3 0.9 0.1 -0.6 -0.3 2.3
2004 1.4 -1 0.3 0.7 -0.8 1.1 0.1 0.5 0 -0.3 -0.3 0.2 1.8
2005 0.4 -0.1 0.3 -0.2 0.1 0.1 0.3 0.6 0.2 0.6 0.2 0.6 3.2
2006 -0.3 0.2 -0.1 1.3 0.5 0.3 0.1 -0.4 -0.1 0.1 0.1 0.7 2.3
2007 -0.3 0.1 -0.4 -0.1 -0.6 0.3 0 1.5 0.2 -0.1 0.1 1 1.9
2008 -0.4 -1.7 0.3 0.5 -0.1 0.7 -0.5 -0.2 3.6 -0.8 -3.2 0.6 -1.3
2009 0.6 -0.3 0.7 1 -0.3 -0.3 0.2 0.4 0.1 -0.1 0.2 0.3 2.5
2010 1.2 0.5 -0.2 0 0.1 0.5 0.5 0.1 0.1 0.7 -1.1 2.3 4.6
2011 0.3 0.7 1.1 0.5 -0.3 0.3 1.4 -0.8 0.4 0.8 -0.8 -0.1 3.8
2012 1 1 0.1 -0.1 0.1 0.3 0.3 0.4 0 0.5 -0.2 0.1 3.5
2013 0.2 0 -0.7 0.3 -1.1 1.1 -0.7 0.2 -0.6 -1.3 0.2 -0.6 -3
2014 0.6 0.4 -0.5 0.4 -0.4 -0.6 -0.1 0.3 0.1 0.2 -0.2 -0.2 0
2015 0.6 0.5 -0.4 -0.6 -0.1 0.4 0.9 0.4 0.4 0.1 0.2 0.7 3.2
2016 0.3 0.1 0.7 0.1 0.6 0.9 -0.1 -0.3 -0.1 0.1 -0.8 0.4 1.9
2017 -0.1 -0.1 0.1 0 0.3 0.3 0.1 0.3 -0.1 0 0.4 0.1 1.3
2018 -0.4 0.2 0.1 0.4 0.1 0 0.3 -0.1 0.3 0.1 -0.9 0.9 1
2019 -0.1 -0.1 0.1 0.3 0.1 -0.3 0.7 0.3 0 -0.2 0.2 0.1 1.1
2020 0.2 -1.6 -3.8 0.7 1.8 0.5 0.3 0.5 0.4 0.2 0.8 1.3 1.1
2021 0.8 0.6 0.3 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart